I've done it both ways. Sometimes those retail Intel hsfs are a real pain. I did that one inside the case, had everything else hooked up so that was the reason I didn't remove the motherboard and try it.

I always install the CPU HSF and memory outside the cases. The only time this might not be done, is when a power supply exchange requires me to unmount the motherboard to allow room between the HSF and the power supply mounting area. In some, there is enough room to install the CPU HSF when the motherboard is mounted in the case

If the motherboard is already installed and hooked up to everything, I can understand the appeal of trying to R&R the cpu and heatsinks with the motherboard in place. I think the original poster was referring to a new build though.